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題名：代理人理論與金融危機
作者：陳復伍
作者(外文)：Fulwood Chen
校院名稱：國立臺灣科技大學
系所名稱：財務金融研究所
指導教授：張光第
學位類別：博士
出版日期：2013
主題關鍵詞：次貸危機；主權債務危機；資產評價模型；代理人理論；Subprime Mortgage Crisis；Sovereign Debt Crisis；Asset-Pricing Model；Agency Theory
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金融風暴接連發生重創全球經濟，失業率攀升與景氣低迷不振。在每一次危機之後都會有一連串的檢討，也會採取矯正措施以避免將來風暴的發生，但歷史卻一再重演。大部分有關的研究其焦點都放在經濟與制度性的因素，而忽略了經濟個體所扮演的角色。本文主要以經濟個體的角度來探討次貸危機與主權債務危機發生原因；另外，也提出一些建議以防止將來危機的發生。
本文第一章是從金融機構決策者的行為來探討次貸危機，這部份結合代理人理論與資產評價模型，分析影響決策者風險態度的因素。除考量財富與勞力投入兩項因素外，也將決策者的生涯因素放入研究模型中。同儕壓力、高誘因的報酬結構及日愈下降的市場影響力會壓抑決策者的風險意識，導致其行為偏離了公司的利益。為避免決策者過度的冒險，統合決策者與公司的利益，本文建議報酬結構應按市場的條件做調整，相對績效評估應放入主管薪酬架構中，而且對決策者績效評估的期間應拉長。另外，董事會與機構內風險管理部門也應強化其角色。
維持經濟的穩定是政府經濟政策目標之一，但現在政府卻成為經濟動盪的禍首。主權債務危機主要是政府舉債過度而無法償付，而政府為何喪失其風險意識，累積龐大債務，將其國家帶入破產的邊緣？單從經濟層面並無法解釋危機發生的真正原因。本文第二章結合代理人理論與財政學上的研究，建立模型，探討政府為何無法有效處理其財政問題，研究發現太多的政治考量導致目前不負責任的財政政策。提升預算機構的獨立性，並強化政府財政的透明度將可降低主權債務再度發生的可能性。
經濟活動主要反映經濟個體的行為，但個體的行為可能會偏離經濟體系多數人的利益。例如金融機構決策者可能不顧公司整體利益，一味追求其豐厚的報酬與崇高的社會地位；政府為維持其執政地位而不顧財政的嚴重惡化，造成全球金融市場的動盪不安。為了對經濟活動作更進一步的了解，避免因經濟個體自利的行為導致經濟的失衡，學術界有必要對經濟個體的行為投注更多時間與心力進行研究。
A succession of financial crises has done great damage to global economy. A sharp rise in unemployment and gloomy economic performance have make people suffer so much. After each crisis, people extend effort as much as possible to explore why the chaos breaks out and take corrective measures with a hope to stave off future crises. But history still repeats itself again and again. Most studies on financial crises focus on economic conditions and some institutional factors governing how the economy works, but they ignore the role of economic agents who have great influence on economic outcomes. The focus of this dissertation is to address the subprime mortgage crisis and sovereign debt crisis from the perspective of agent behavior, providing an alternative thinking of how these crises evolve. Some suggestions are also submitted with aim at strengthening the economic fortress against the attack of future financial turmoil.
The first chapter explores the subprime mortgage crisis from the aspects of CEO behavior. Agency theory is combined with the asset-pricing model to explore factors affecting CEO risk aversion. Apart from wealth and effort, the two main factors influencing the agent’s risk preference, we also add a measure of CEO career concern to the model. Increasing peer pressure, high-incentive compensation structure, and declining market power diminish CEOs’ alertness to risk, resulting in a departure of CEO actions from firm interests. For reining in CEOs’ excessive risk taking and aligning both interests of firms and CEOs, we suggest that the emphasis of the pay schedule should be adjusted according to market conditions, the relative performance evaluation be embedded into executive compensation, and the time span for performance evaluation be lengthened. The role of the board of directors and the function of risk management units should also be intensified.
Governments are expected to could play a stabilizing role when the economy is in trouble, but recently they are the source of chaos. The cause behind the sovereign debt crisis is too much debt far exceeding a government’s ability to repay. Why those governments of debt-ridden countries lose the sense of risk that unlimited accumulation of debt would sink their countries to the brink of insolvency. Economic factors alone can not provide a complete explanation. Chapter 2 combines agency theory with studies on public finance to develop a model to elucidate why a government fails to deal with the fiscal problem. The research result shows that too much political concern underlies irresponsible fiscal polices. Enhancing the independence of budget offices and intensifying the transparency of public finance can be prescriptions to contain the reoccurrence of sovereign debt crisis.
Agent behavior generates certain economic outcomes, some of which might diverge from the interests of the majority. As shown in this dissertation, CEOs of financial firms seek their gorgeous pays and higher social status at the cost of firms’ interests. Governments lose their stabilizing role in the economy and become the source of chaos just for maintaining their ruling position. It deserves more attention from financial academics to study agent behavior, from which a clearer picture of economic activities can be obtained and some economic disturbance arising from agent self-interest can be detected and precluded.
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